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©All rights reserved to prof. Rafi Eldor MFA 2008 SPAN Margining of Option Trading: How Accuracy Promotes Efficiency

Span margining of options trading - how accuracy promotes efficiency

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מצגת בנושא מסחר באופציות: כיצד דיוק מקדם יעילות? מאת רפי אלדור, שמואל האוזר ועוזי יערי

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Page 1: Span margining of options trading - how accuracy promotes efficiency

©All rights reserved to prof. Rafi Eldor

MFA 2008

SPAN Margining of Option Trading:

How Accuracy Promotes Efficiency

Page 2: Span margining of options trading - how accuracy promotes efficiency

©All rights reserved to prof. Rafi Eldor

MFA 2008

SPAN Margining of Option Trading:

How Accuracy Promotes Efficiency

BY:

Rafael Eldor

Shmuel Hauser

Uzi Yaari

Page 3: Span margining of options trading - how accuracy promotes efficiency

©All rights reserved to prof. Rafi Eldor

MFA 2008

Background

• Margin requirements

• Evolution

Page 4: Span margining of options trading - how accuracy promotes efficiency

©All rights reserved to prof. Rafi Eldor

MFA 2008

Related literature

• Kupiec (1993, 1994,1996,1998)

• Day and Lewis (1997)

• Dutt and Wien (2002)

Page 5: Span margining of options trading - how accuracy promotes efficiency

©All rights reserved to prof. Rafi Eldor

MFA 2008

Page 6: Span margining of options trading - how accuracy promotes efficiency

©All rights reserved to prof. Rafi Eldor

MFA 2008

Page 7: Span margining of options trading - how accuracy promotes efficiency

©All rights reserved to prof. Rafi Eldor

MFA 2008

Page 8: Span margining of options trading - how accuracy promotes efficiency

©All rights reserved to prof. Rafi Eldor

MFA 2008

Page 9: Span margining of options trading - how accuracy promotes efficiency

©All rights reserved to prof. Rafi Eldor

MFA 2008

Page 10: Span margining of options trading - how accuracy promotes efficiency

©All rights reserved to prof. Rafi Eldor

MFA 2008

Page 11: Span margining of options trading - how accuracy promotes efficiency

©All rights reserved to prof. Rafi Eldor

MFA 2008


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